Two convergence results for an alternation maximization procedure
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2061 | |
dc.contributor.author | Andresen, Andreas | |
dc.contributor.author | Spokoiny, Vladimir | |
dc.date.accessioned | 2016-03-24T17:36:52Z | |
dc.date.available | 2019-06-28T08:11:26Z | |
dc.date.issued | 2015 | |
dc.description.abstract | Andresen and Spokoiny's (2013) "critical dimension in semiparametric estimation" provide a technique for the finite sample analysis of profile M-estimators. This paper uses very similar ideas to derive two convergence results for the alternating procedure to approximate the maximizer of random functionals such as the realized log likelihood in MLE estimation. We manage to show that the sequence attains the same deviation properties as shown for the profile M-estimator in Andresen and Spokoiny (2013), i.e. a finite sample Wilks and Fisher theorem. Further under slightly stronger smoothness constraints on the random functional we can show nearly linear convergence to the global maximizer if the starting point for the procedure is well chosen. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/3430 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2808 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Profile maximum likelihood | eng |
dc.subject.other | local linear approximation | eng |
dc.subject.other | spread | eng |
dc.subject.other | local concentration | eng |
dc.subject.other | M-estimation | eng |
dc.subject.other | alternating procedure | eng |
dc.subject.other | EM algorithm | eng |
dc.title | Two convergence results for an alternation maximization procedure | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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